Oh my, you've broken open my subject. That is a fantastic song by old Clapton, and definitely a top contender, easy no problem. Mostly because of the personal meaning he has behind it.
I make entire mix cds people say sound like I would kill myself to, so heh, Joe knows his depressing music.
Bright Eyes - A Line Allows Progress, A Circle Does Not
Cursive - The Martyr
Death Cab for Cutie - Tiny Vessels
Neil Young - Out on the Weekend
Pedro the Lion - Amazing Love
Yeah Yeah Yeahs - Modern Romance
Alkaline Trio - Blue in the Face
Gary Jules - Mad World
Sean Lennon - Mystery Juice
Postal Service - Iron and Wine
Flogging Molly - The Son Never Shines (On Closed Doors)
Anything by Sinatra can also be incredibly sad when played in the right context as well.
Okay... gone overboard.